Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0461 |
| Annualized Std Dev | 0.3066 |
| Annualized Sharpe (Rf=0%) | -0.1505 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4506.0000 |
| NAs | 1.0000 |
| Minimum | -0.2053 |
| Quartile 1 | -0.0043 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0054 |
| Maximum | 0.3471 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0004 |
| Stdev | 0.0193 |
| Skewness | 1.1594 |
| Kurtosis | 47.7025 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0137 |
| Gain Deviation | 0.0163 |
| Loss Deviation | 0.0177 |
| Downside Deviation (MAR=210%) | 0.0176 |
| Downside Deviation (Rf=0%) | 0.0137 |
| Downside Deviation (0%) | 0.0137 |
| Maximum Drawdown | 0.8092 |
| Historical VaR (95%) | -0.0227 |
| Historical ES (95%) | -0.0481 |
| Modified VaR (95%) | -0.0063 |
| Modified ES (95%) | -0.0063 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-06 | 2008-11-21 | NA | -0.8092 | 3473 | 372 | NA |
| 2004-01-14 | 2004-05-10 | 2006-08-24 | -0.1628 | 659 | 81 | 578 |
| 2003-05-20 | 2003-08-18 | 2004-01-09 | -0.1257 | 163 | 63 | 100 |
| 2007-03-01 | 2007-03-05 | 2007-05-03 | -0.0591 | 45 | 3 | 42 |
| 2006-09-29 | 2006-10-16 | 2006-12-04 | -0.0479 | 46 | 12 | 34 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | -0.1 | -0.3 | 0.7 | 0.1 | -0.1 | 1.4 | 0.2 | 0.7 | 0.3 | 2.9 |
| 2004 | 1.1 | 0.5 | 0.7 | 0.3 | 0.2 | 0.8 | 0.7 | 0.8 | 0.1 | 0.5 | 0.2 | 0.3 | 6.4 |
| 2005 | 0.1 | 0.5 | 0.1 | 0.1 | 0.3 | 0.7 | -0.3 | 0.3 | -0.1 | -0.1 | 0.8 | 0.4 | 3.2 |
| 2006 | 0.1 | 0.2 | -0.4 | -0.3 | 0.1 | 0.3 | 0.5 | 0.6 | -0.6 | -0.6 | 0.2 | 0.1 | 0.1 |
| 2007 | 0.1 | -0.4 | -0.3 | 0.1 | 0.1 | 1 | -1.8 | 2.9 | 0.8 | -0.9 | 2.8 | -0.2 | 4.3 |
| 2008 | 0.5 | -0.9 | 2.1 | 0.6 | 0.2 | -0.6 | 1.4 | -0.3 | 2.3 | -0.5 | -4.3 | 2.2 | 2.6 |
| 2009 | -1.7 | 8.6 | -2.9 | 0.8 | 1.5 | 2.3 | 0.9 | -2.1 | -2 | -2 | 0.2 | -4 | -0.9 |
| 2010 | 1.3 | 2 | 0.4 | 0.6 | 0 | 0.2 | 0.1 | 2.7 | 0.2 | 0.3 | 0.1 | 1.3 | 9.5 |
| 2011 | 0.4 | 0.3 | -0.1 | 0.1 | -0.9 | 1.6 | 3.4 | -0.9 | -2.7 | -2.1 | -0.1 | -0.3 | -1.5 |
| 2012 | 1 | 0.1 | 0.2 | 0.8 | -0.7 | 0 | -0.1 | 0.3 | 0.7 | 1.3 | -0.8 | 0.8 | 3.6 |
| 2013 | 0.7 | -0.5 | 0.2 | -0.1 | -3.2 | 0.9 | -0.5 | 0.3 | 0.3 | -0.6 | 1.1 | 0 | -1.4 |
| 2014 | 0.5 | 0.8 | 0.5 | 0.5 | 0.7 | 0.1 | -1.3 | 0.3 | 0.9 | -0.2 | 0.4 | -2.8 | 0.1 |
| 2015 | 1.5 | -0.2 | 0.8 | 0.1 | 1.2 | 0.5 | 0.8 | -0.3 | -0.9 | 0.9 | -0.9 | -1.1 | 2.5 |
| 2016 | 1.4 | 1.2 | 0.1 | 1 | 0.1 | 1 | -0.2 | -0.1 | 0.6 | 4.6 | -0.1 | 0.3 | 10.5 |
| 2017 | 0.5 | -0.6 | 0 | 0.2 | -0.1 | 0.2 | -0.9 | 0.2 | 0.2 | -1.1 | 0.1 | 0.3 | -0.9 |
| 2018 | 0 | 0 | 0.4 | 0.5 | 0.4 | 1.2 | 0.8 | -0.1 | 0 | 1 | -0.2 | 0.3 | 4.3 |
| 2019 | -0.8 | 0.5 | 0.2 | 1.8 | -0.4 | 0.8 | 0.6 | 0.6 | 0 | 0 | 0.1 | 0.1 | 3.6 |
| 2020 | -0.1 | -3.5 | -4.3 | -0.2 | 3.7 | 0 | 0.2 | 1.5 | 0.5 | -0.4 | 1.4 | 0.5 | -1 |
| 2021 | 0.8 | 1.1 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-04-25 15.0 SPY 90.2 -0.0124 0.0075 0.0362 0.0446 -0.176 -0.375 NA <NA> NA NA NA
2 2003-04-28 15.1 SPY 91.8 0.0173 0.0239 0.0532 0.0773 -0.145 -0.359 NA <NA> NA NA NA
3 2003-04-29 15.1 SPY 91.8 0 0.0049 0.0586 0.0694 -0.141 -0.362 NA <NA> NA NA NA
4 2003-04-30 15.2 SPY 91.9 0.0013 -0.00290 0.0846 0.0628 -0.148 -0.354 NA <NA> NA NA NA
5 2003-05-01 15.2 SPY 91.9 -0.0001 0.0059 0.0681 0.0885 -0.158 -0.380 NA <NA> NA NA NA
6 2003-05-02 15.2 SPY 93.2 0.0143 0.033 0.0578 0.0831 -0.143 -0.364 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
